ec.EG1: estimates the VECM with the 2-stage procedure of Engle &...

In cif: Cointegrated ICU Forecasting

estimates the VECM with the 2-stage procedure of Engle & Granger

Description

Estimates the EC with EG. Cointegration rank fixed at 1

Usage

ec.EG1(det1, det2, ymat, npl, befpn, ndet, drop1 = NA, drop2 = NA)

Arguments

det1	deterministic matrix of constant(s) and trend(s)
det2	deterministic matrix of seasonals and point dummies
ymat	matrix of lags
npl	n, p, nlag
befpn	begtrim, endtrim, nforecast, npred
ndet	order of the model d(i,j)
drop1	selection of det1 regressors in first stage to drop
drop2	selection of det1 regressors in second stage to drop

Value

out a list with estimates

Author(s)

P. Berta, P. Paruolo, S. Verzillo, P.G. Lovaglio

References

Berta et al. 2020

cif documentation built on March 18, 2022, 6:14 p.m.